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Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 39 (2009)
Issue (Month): 2 (August)
Pages: 202-223
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:jrefec:v:39:y:2009:i:2:p:202-223

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Related research

Keywords: Time-varying correlation; Volatility; Dynamic conditional correlation model; Real estate securities markets; Stock markets;

References listed on IDEAS
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1. Sheng-Yung Yang, 2005. "A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 89-93, March. [Downloadable!] (restricted)
2. John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May. [Downloadable!] (restricted)
   Other versions:
   • Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany. [Downloadable!]
3. Kim Liow & Haishan Yang, 2005. "Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 31(3), pages 283-300, November. [Downloadable!] (restricted)
4. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-61, November. [Downloadable!] (restricted)
5. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
6. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515. [Downloadable!] (restricted)
7. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
8. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
9. Piet M.A. Eichholtz, 1996. "The Stability of the Covariances of International Property Share Returns," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 149-158. [Downloadable!]
10. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
11. Mei, Jianping & Hu, Jiawei, 2000. "Conditional Risk Premiums of Asian Real Estate Stocks," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 297-313, November. [Downloadable!] (restricted)
12. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503. [Downloadable!] (restricted)
13. Jarl G. Kallberg & Crocker H. Liu & Paolo Pasquariello, 2002. "Regime Shifts in Asian Equity and Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 263-291. [Downloadable!] (restricted)
14. David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, 03. [Downloadable!] (restricted)

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